US Treasury Yield Curve Shift (1M to 30Y)
Comparing pre-shock baseline curve with simulated oil shock transmission
Pre-Shock Baseline (4.55% at 10Y)
Simulated Shock Curve
Global Sovereign Bond Contagion Matrix
CROSS-ASSET SPILLOVER
| Sovereign Benchmark | Baseline Yield | Current / Shock Yield | Spillover Shift | Price Impact | Contagion Degree |
|---|
• Oil Price Transmission Mechanics
- Refined Product Pressure: Higher crude prices ($95+/bbl) immediately inflate transportation fuel and consumer energy costs.
- De-anchoring Breakevens: Inflation expectations rebound above 3.0%, wiping out premature Fed rate cut pricing.
- Term Premium Rebuild: Global asset managers demand elevated yields to hold long-duration sovereign paper in an inflationary regime.
• Sovereign Contagion Spillover
- UK Gilts: Persistent wage pressures compound energy import costs, pushing 10Y Gilts above 4.60%.
- German Bunds: European benchmark yields climb toward 2.90%, tightening euro-area corporate borrowing terms.
- Japanese JGBs: Yen depreciation accelerates imported fuel shock, driving 10Y JGB yields toward multi-year highs.